Exertional headaches, or Exercise Induced headaches, can be really bad. I personally had an episode about 7 years ago. I had started DC training and was doing the 'widowmaker' 20 rep squats- and was repping 225 for 20 reps- deep. After racking the weight after 20 reps I had a semi-syncopal episode (sorta fainted) and after that I had a headache that was so bad it was like someone hit me in the back of the head with a baseball bat. At the time I had pushed myself physically farther than I ever had, on the 20 rep squats.
It concerned me because I never had headaches prior to this. I ended up going in to the hospital, they did a CT scan to check in case it was a cerebral hemorrhage (brain bleed) like a ruptured blood vessel, or aneurysm. It wasn't , so I was cleared to leave and told to take it easy for a few weeks.
I did notice that after that- the headache returned when I was having sex, or lifting.--specifically those two times. After a couple weeks they went away and have never came back
The causes of exercise headaches aren't entirely known, in the worst case scenario- it could be a brain tumor or aneurysm. Chances are it is not, but if its severe this needs to be ruled out. Aside from that it could be a blood vessel that expands when your blood pressure goes up and causes pain and pressure in part of your brain. One other possible cause is that you are breathing improperly, it's not likely since you are probably an experienced lifter- BUT breathing too fast could cause a C02 imbalance and headaches from that.
There isn't really much for treatment, aside from making sure you don't have one of the severe problems, which it doesn't sound like you do. For me they went away and never came back, so I wish you best of luck. See a Doctor if it gets worse or if there is any vision problems or dizzyness.